/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleOptionAsset"/> class.
/// </summary>
/// <param name="cache">The cache.</param>
/// <param name="logger">The logger.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="baseDate">The base date.</param>
/// <param name="expiryTenor">The expiry tenor.</param>
/// <param name="underlyingAssetIdentifier">The underlying asset.</param>
/// <param name="strike">The strike.</param>
/// <param name="volatility">The volatility.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
/// <param name="discountCurve">The discount rate curve. Not used yet, as only the implied rate is caclulated.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public PriceableSimpleOptionAsset(ILogger logger, ICoreCache cache, string nameSpace, String underlyingAssetIdentifier, DateTime baseDate,
Period expiryTenor, Decimal?strike, Decimal volatility, IRateCurve discountCurve, ICurve forecastCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
UnderlyingAssetRef = underlyingAssetIdentifier;
var expiryOffset = new Offset
{
period = expiryTenor.period,
periodMultiplier = expiryTenor.periodMultiplier,
periodSpecified = true,
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true
};
var expiryDate = expiryOffset.Add(baseDate);
var assetProperties = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, underlyingAssetIdentifier, expiryDate);
var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, underlyingAssetIdentifier);
var quotation = BasicQuotationHelper.CreateRate(0.05m);
var quote = BasicAssetValuationHelper.Create(quotation);
UnderlyingPriceableAsset = PriceableAssetFactory.Create(logger, cache, nameSpace, instrument, quote, assetProperties, fixingCalendar, rollCalendar);
BaseDate = baseDate;
ForwardIndex = UnderlyingPriceableAsset.CalculateImpliedQuote(forecastCurve);
if (strike != null)
{
Strike = (Decimal)strike;
}
else
{
Strike = ForwardIndex;
}
DayCounter = new Actual365();
ExpiryDate = expiryDate;
Volatility = volatility;
TimeToExpiry = DayCounter.DayCount(BaseDate, ExpiryDate);
}
/// <summary>
/// Bootstraps the specified priceable assets, where the assets
/// are simple commodity asset with single cash flows on a
/// single index observation.
/// </summary>
/// <param name="priceableAssets">The priceable assets.</param>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="extrapolationPermitted">The extrapolationPermitted flag.</param>
/// <param name="tolerance">The tolerance for the solver</param>
/// <param name="spreadXArray">THe spread interpolator produced in the bootstrapper</param>
/// <param name="spreadYArray">THe spread interpolator produced in the bootstrapper</param>
/// <returns></returns>
public static TermPoint[] Bootstrap(IEnumerable <IPriceableCommoditySpreadAssetController> priceableAssets,
ICommodityCurve referenceCurve, DateTime baseDate, bool extrapolationPermitted, double tolerance, ref IList <double> spreadXArray, ref IList <double> spreadYArray)
{
//only works for linear on zero.
//InterpolationMethod interp = InterpolationMethodHelper.Parse("LinearInterpolation");
// Add the first element (date : discount factor) to the list
var points = new Dictionary <DateTime, double>();
var items
= new SortedDictionary <DateTime, Pair <string, decimal> >();
var dayCounter = new Actual365();
foreach (var priceableAsset in priceableAssets)
{
DateTime assetMaturityDate = priceableAsset.GetRiskMaturityDate();
if (points.Keys.Contains(assetMaturityDate))
{
continue;
}
//This now should automatically extrapolate the required discount factor on a flat rate basis.
if (IsSpreadAsset(priceableAsset))
{
//These are simple assts so the solver is unnecessary.
var value = (double)priceableAsset.CalculateImpliedQuoteWithSpread(referenceCurve);
var dayCount = dayCounter.YearFraction(baseDate, assetMaturityDate);
spreadXArray.Add(dayCount);
spreadYArray.Add((double)priceableAsset.MarketQuote.value); //TODO Get the marketquote
points.Add(assetMaturityDate, value);
items.Add(assetMaturityDate,
new Pair <string, decimal>(priceableAsset.Id, (decimal)points[assetMaturityDate]));
}
}
if (spreadXArray.Count > 2)
{
var spreadCurveInterpolator = new LinearInterpolation(spreadXArray.ToArray(),
spreadYArray.ToArray());
var index = 0;
foreach (var assetMaturityDate in referenceCurve.GetTermCurve().GetListTermDates())
{
if (points.Keys.Contains(assetMaturityDate))
{
continue;
}
var dayCount = dayCounter.YearFraction(baseDate, assetMaturityDate);
double spreadValue = spreadCurveInterpolator.ValueAt(dayCount, true);
var value = referenceCurve.GetForward(baseDate, assetMaturityDate);
points.Add(assetMaturityDate, value + spreadValue);
items.Add(assetMaturityDate,
new Pair <string, decimal>("RefCurvePillar_" + index, (decimal)points[assetMaturityDate]));
index++;
}
return(TermPointsFactory.Create(items));
}
return(null);
}
/// <summary>
/// Turn a date based description of a CDS accrual period (<seealso cref="CdsCouponDes"/>) into an analytic description
/// (<seealso cref="CdsCoupon"/>). This uses ACT/360 for the accrual day count.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="coupon"> A date based description of a CDS accrual period </param>
/// <param name="protectionFromStartOfDay"> If true the protection is from the start of day and the effective accrual
/// start and end dates are one day less. The exception is the accrual end date which should have one day
/// added (if protectionFromStartOfDay = true) in the CDSCouponDes to compensate for this, so the
/// accrual end date is just the CDS maturity.
/// The effect of having protectionFromStartOfDay = true is to add an extra day of protection. </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
public CdsCoupon(DateTime tradeDate, CdsCouponDes coupon, bool protectionFromStartOfDay, Enums.DayCount curveDCC)
{
DateTime effStart = protectionFromStartOfDay ? coupon.getAccStart().AddDays(1) : coupon.getAccStart();
DateTime effEnd = protectionFromStartOfDay ? coupon.getAccEnd().AddDays(-1) : coupon.getAccEnd();
Actual365 dc = new Actual365();
_effStart = DateTime.Compare(effStart, tradeDate) < 0 ? -dc.YearFraction(effStart, tradeDate) : dc.YearFraction(tradeDate, effStart);
_effEnd = dc.YearFraction(tradeDate, effEnd);
_paymentTime = dc.YearFraction(tradeDate, coupon.getPaymentDate());
_yearFrac = coupon.getYearFrac();
_ycRatio = _yearFrac / dc.YearFraction(coupon.getAccStart(), coupon.getAccEnd());
}
private static double[] toDoubles(DateTime tradeDate, bool protectionFromStartOfDay, Enums.DayCount accrualDCC, Enums.DayCount curveDCC,
params DateTime[] premDates)
{
DateTime accStart = premDates[0];
DateTime accEnd = premDates[1];
DateTime paymentDate = premDates[2];
DateTime effStart = protectionFromStartOfDay ? accStart.AddDays(-1) : accStart;
DateTime effEnd = protectionFromStartOfDay ? accEnd.AddDays(-1) : accEnd;
double[] res = new double[5];
// *@param protectionFromStartOfDay true if protection is from the start of day (true for standard CDS)
// *@param accrualDCC The day - count - convention used for calculation the accrual period(ACT / 360 for standard CDS)
// *@param curveDCC The day - count - convention used for converting dates to time intervals along curves - this should be ACT / 365F
Actual365 dc = new Actual365();
Actual360 accrualDCC_ = new Actual360();
res[0] = DateTime.Compare(effStart, tradeDate) < 0 ? -dc.YearFraction(effStart, tradeDate) : dc.YearFraction(tradeDate, effStart);
res[1] = dc.YearFraction(tradeDate, effEnd);
res[2] = dc.YearFraction(tradeDate, paymentDate);
res[3] = accrualDCC_.YearFraction(accStart, accEnd);
res[4] = res[3] / dc.YearFraction(accStart, accEnd);
return(res);
}